Application of Neural Networks in Financial Data Mining

This paper deals with the application of a well-known neural network technique, multi-layer back-propagation (BP) neural network, in financial data mining. A modified neural network forecasting model is presented, and an intelligent mining system is developed. The system can forecast the buying and selling signs according to the prediction of future trends to stock market, and provide decision-making for stock investors. The simulation result of seven years to Shanghai Composite Index shows that the return achieved by this mining sys-tem is about three times as large as that achieved by the buy and hold strategy, so it is advantageous to apply neural networks to forecast financial time series, the different investors could benefit from it. Keywords—data mining, neural network, stock forecasting.